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Next: First results Up: Risk and performance optimization Previous: The covariance matrix

Chronological overview

I. Estimation

II. Simulation III. Evaluation IV. Optimization

Note that the simulation procedure (=scenario generation; step II) must only be done once. The optimization loops use the same set of scenarios for alternating portfolios.


next up previous
Next: First results Up: Risk and performance optimization Previous: The covariance matrix
2003-10-24 Approximity